How do I combine AutoGuideList with a custom guide?

Misc.
1

I’m trying to create an autoguide list over a model.

Let’s say my model looks like this:

def model(X, number_of_deltas, y=None):

    # compute some coefficients
    means = torch.zeros(X.size(1))
    standard_deviations = torch.full((X.size(1),), 10.0)

    normal_distribution = dist.Normal(means, standard_deviations).to_event(1)

    betas = pyro.sample(f"betas", seasonality_coefficient_normal_distribution)


    # compute some changes in those coefficients
    means_L = torch.zeros(number_of_deltas)
    scales_L = torch.full((number_of_deltas), 10.0)

    laplace_distribution = dist.Laplace(means_L, scales_L).to_event(1)

    deltas = pyro.sample("delta", laplace_distribution)

    # do something with the betas and deltas and observe y...

In reality I have many more different coefficients I sample, but only one sampling statement for “delta”.

What I’d like to do is use the AutoNormal for the betas, and a Laplace distribution for the “deltas”.

I have a guide like this:

def guide_Laplace_deltas(X, number_of_deltas, y=None):
        
    means_L = pyro.param("means", torch.zeros(number_of_deltas))
    scales_L = pyro.param("scales", torch.full((number_of_deltas), 10.0), constraint=constraints.positive)

    laplace_distribution = dist.Laplace(means_L, scales_L).to_event(1)

    deltas = pyro.sample("delta", laplace_distribution)

And I want to use both that and the AutoNormal as part of an AutoGuideList, and only expose the “delta” sample to my custom guide. How would I do that? I’ve seen examples of combining multiple AutoGuides into the AutoGuideList but is that possible to do with the regular guide as well?

2

OK nvm, looks like this is pretty simple. The AutoCallable interface automatically kicks in.

I just had to do

my_guide = AutoGuideList(model)

columns_for_laplace_distribution = ["delta"]
my_huide.append(AutoNormal(pyro.poutine.block(model, hide=columns_for_laplace_distribution ), init_scale=0.1))
my_guide.append(guide_Laplace_deltas)
3

That’s right @bshabash, you should generally be able to simply simply append your custom guide function::

def my_custom_guide(...):
   ...

my_autoguide_list = AutoGuideList(my_model)
my_autoguide_list.append(my_custom_guide)
...
1 Like
4

@fritzo
I really think the Pyro documentation can benefit from more examples for each class/function.

2 Likes